Empirical Tests for Stochastic Dominance Efficiency

Post, Thierry

doi:10.1111/1540-6261.00592

We derive empirical tests for the stochastic dominance efficiency of a given portfolio with respect to all possible portfolios constructed from a set of assets. The tests can be computed using straightforward linear programming.

Additional Metadata
Keywords	Asymptotic distribution (Probability theory), bootstraps (statistics), linear programming, portfolio management, stochastic analysis
Persistent URL	doi.org/10.1111/1540-6261.00592, hdl.handle.net/1765/6190
Series	ERIM Top-Core Articles
Journal	The Journal of Finance
Organisation	Erasmus Research Institute of Management
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Post, T. (2003). Empirical Tests for Stochastic Dominance Efficiency. The Journal of Finance, 1905–1932. doi:10.1111/1540-6261.00592

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